This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of ... [Read more...]

As a follow-up to my post examining the stationarity of the new property price index, this post will briefly look at some of the dynamics of mortgage debt and property prices; all data is monthly, from the beginning of 2005 to March 2011. This will also serve as an illustration of the ‘... [Read more...]

On Friday, the CSO released a new house (and apartment) price index, for the national, Dublin, and national excluding Dublin regions. The release has been noted and covered by the great Irish Economy and Namawinelake blogs. I want to briefly look at some of the statistical properties of this series ... [Read more...]

One prominent feature of early degree-level macroeconomics courses is the concept of ‘potential output’, which one could roughly define as the level of output (GDP) at which inflation is not ‘accelerating’. Potential output is of interest to macroeconomists when analysing the question of output gaps and macroeconomic stabilisation policies by ... [Read more...]

I have started redoing the source code measurements that appear in my C book, this time using a lot more source, upgraded versions of existing tools, plus some new tools such as Coccinelle and R. The intent is to make the code and data available in a form that is ... [Read more...]

No “That” Left Behind? I came across a post on Language Log last week giving some evidence that Obama tends to add that to the prepared version of his speeches. For example, in a recent speech at George Washington University, … Continue reading → [Read more...]

Kickstarter is an online crowdfunding platform for launching creative projects. When starting a new project, project owners specify a deadline and the minimum amount of money they need to raise. They receive the money (less a transaction fee) only if … Continue reading → [Read more...]

A ways back I put up a post that uses R to plot the scoring trends of an NHL player. Given the recent chatter on sports talk radio around Boston, I used my script to plot the data for Michael … Continue reading → [Read more...]

Introduction Suppose you see two drunks (i.e., two random walks) wandering around. The drunks don’t know each other (they’re independent), so there’s no meaningful relationship between their paths. But suppose instead you have a drunk walking with her dog. This … Continue reading → [Read more...]

The development team has spent the past six months creating the best possible experience for RTextTools users. A few months into development, we heard about a new IDE called RStudio, which has one of the cleanest interfaces to R we've seen. It integrates many R tools (graphing, file management, workspace ... [Read more...]

Recently I had to partition a set of SNPs into a training set and a test set. Making a random split would not do: both sets would likely contain very similar SNPs due to linkage disequilibrium (LD), making them non-independent. … Continue reading → [Read more...]

As far as I can tell, R doesn’t have a function for building block diagonal matrices so as I needed one, I’ve coded it myself. It might save someone some time. Example: Let m1 and m2 two square matrices. Selec … Continue reading → [Read more...]

What is the best way to compare the quality of floating-point math libraries (e.g., sin, cos and log)? The traditional approach for evaluating the quality of an algorithm implementing a mathematical function is based on mathematics; methods have been developed to calculate the maximum error between the calculated and ... [Read more...]

R Reference Card for Data Mining is available for free download at http://www.rdatamining.com. The website also provides another free document: R and Data Mining — Examples and Case Studies. [Read more...]

Science and engineering are built on theoretical models that are tested against measurements of ‘reality’. Until around 10 years ago there was very little software engineering ‘reality’ publicly available; companies rarely made source available and were generally unforthcoming about any bugs that had been discovered. What happened around 10 years ago was ... [Read more...]

Part 1. Finding alpha. The first question to resolve in Exercise 3 is to pick a good learning rate alpha. This require making an initial selection, running gradient descent and observing the cost function. Read More: 221 Words Totally [Read more...]

I received an email today with the following comment: I’m using ARIMA with Intervention detection and was planning to use your package to identify my initial ARIMA model for later iteration, however I found that sometimes the auto.arima function returns a model where AR/MA coefficients are not ... [Read more...]

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I describe a kernel density approach to outlier detection on small datasets. In particular, my model is the set of prices for a given item that can be found online. Introduction Suppose you’re searching online for the cheapest place to … Continue reading → [Read more...]